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ArticleThe risk premia embedded in index options

Torben G. Andersen2015

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Articlebronze2015

The risk premia embedded in index options

Torben G. Andersen · Nicola Fusari · Viktor Todorov

285 citations·0/0 files stored·Journal of Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1976Option pricing when underlying stock returns are discontinuous 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 1987Expected stock returns and volatility 2002Determining the Number of Factors in Approximate Factor Models 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2003Limit Theorems for Stochastic Processes

Cited by

2018Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty 2018Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets 2017Resolution of policy uncertainty and sudden declines in volatility 2020Low‐Risk Anomalies?2017Short‐Term Market Risks Implied by Weekly Options 2023What is Certain about Uncertainty?

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Details

Year2015

Typearticle

Published2015-06-14

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations285

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfineco.2015.06.005

openalex_workW2162993787

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2018Tail Risk Concerns Everywhere

2018The VIX Premium